SOLVING NONLINEAR DYNAMIC STOCHASTIC MODELS: AN ALGORITHM COMPUTING VALUE FUNCTIONS BY SIMULATIONS

Lilia Maliar and Serguei Maliar

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications.

Keywords: Nonlinear stochastic models; Value function; Parameterized expectations; Monte Carlo simulations; Numerical solutions (search for similar items in EconPapers)
JEL-codes: C6 C63 C68 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2004-10
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-ict
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Published by Ivie

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2004-37.pdf Fisrt version / Primera version, 2004 (application/pdf)

Related works:
Journal Article: Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2004-37

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